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/* -*- mode: c++; tab-width: 4; indent-tabs-mode: nil; c-basic-offset: 4 -*- */
/*
Copyright (C) 2010 Adrian O' Neill
This file is part of QuantLib, a free-software/open-source library
for financial quantitative analysts and developers - http://quantlib.org/
QuantLib is free software: you can redistribute it and/or modify it
under the terms of the QuantLib license. You should have received a
copy of the license along with this program; if not, please email
<quantlib-dev@lists.sf.net>. The license is also available online at
<https://www.quantlib.org/license.shtml>.
This program is distributed in the hope that it will be useful, but WITHOUT
ANY WARRANTY; without even the implied warranty of MERCHANTABILITY or FITNESS
FOR A PARTICULAR PURPOSE. See the license for more details.
*/
/*! \file fftvanillaengine.hpp
\brief FFT engine for vanilla options under a Black Scholes process
*/
#ifndef quantlib_fft_vanilla_engine_hpp
#define quantlib_fft_vanilla_engine_hpp
#include <ql/experimental/variancegamma/fftengine.hpp>
#include <ql/processes/blackscholesprocess.hpp>
#include <complex>
namespace QuantLib {
//! FFT Pricing engine vanilla options under a Black Scholes process
/*! \ingroup vanillaengines
\test the correctness of the returned values is tested by
comparison with Black Scholes pricing.
*/
class FFTVanillaEngine : public FFTEngine {
public:
explicit FFTVanillaEngine(
const ext::shared_ptr<GeneralizedBlackScholesProcess>&process,
Real logStrikeSpacing = 0.001);
std::unique_ptr<FFTEngine> clone() const override;
protected:
void precalculateExpiry(Date d) override;
std::complex<Real> complexFourierTransform(std::complex<Real> u) const override;
Real discountFactor(Date d) const override;
Real dividendYield(Date d) const override;
private:
DiscountFactor dividendDiscount_;
DiscountFactor riskFreeDiscount_;
Time t_;
Real var_;
};
}
#endif
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